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Question
You buy euros in New York from Deutsche Bank and simultaneously sell them in London to Barclays for a gain. This is an example of
A. position trading.
B. program trading.
C. risk arbitrage.
D. pure arbitrage.
E. hedging.
Answer
This answer is hidden. It contains 1 characters.
Related questions
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A bond portfolio manager has a $25 million market value bond portfolio with a 6-year duration. The manager believes interest rates may increase 50 basis points. Which of the following could be used to help limit his risk?
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A macro hedge is a hedge of a particular asset or liability exposure to a change in a macroeconomic variable.
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Buying a cap is similar to buying a call option on bond prices.
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The bank's one-year repricing gap is (Million $)A. $425.B. $285.C. $74.D. $140.E. $66.
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Due to convexity problems, banks are actually better off using the simpler repricing model to manage interest rate risk rather than the duration model.
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The cash flow from the interest a bank receives on a long-term loan that is normally reinvested is called the runoff from the loan.
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If a bank has a negative repricing gap, falling interest rates increase profitability.
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In a bank's three-month maturity bucket, a 30-year ARM with a rate reset in six months would be considered a fixed rate asset, but in its one-year maturity bucket, this ARM would be considered a rate-sensitive asset.
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Explain how liquidity risk can lead to insolvency risk.
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In the absence of deposit insurance, a deposit is a _______________ to the bank's assets.A. pro rata claimB. first come/first serve claimC. full pay or no pay claimD. both A and BE. both B and C
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The BIS recommends that depository institutions do which of the following to realistically measure liquidity risk?I. Construct a maturity ladder of funding requirements over both the short and long run.II. Conduct scenario analyses of the bank's implied liquidity position under different bank and economic conditions.III. Always keep the loan to deposit ratio less than one.A. I onlyB. II onlyC. I and II onlyD. II and III onlyE. I, II, and III
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A four-class CMO has Class A, Class B, Class C, and the residual Class Z securities outstanding. Which class has the longest duration?
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B. Class B
C. Class C
D. Class Z
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Banks were willing to swap LDC loans for Brady bonds because:
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B. the bonds had variable interest rates.
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Vulture funds specialize in buying distressed loans.
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More than 90% of loan sales are via assignments.
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